Jamón: An Implementation of Constrained Hamiltonian Monte Carlo
A suite of classes facilitating generalized Hamiltonian 
Monte Carlo (both constrained and unconstrainted).
For details see http://arxiv.org/abs/1112.4118 

baseHamiltonian defines the interface for the
target distribution, in particular the kinetic
energy, the potential energy, the evolution
of the position and momentum, and any constraints.
chainBundle provides a container of baseHamiltonians,
including the functionality to perform HMC transitions,
diagnose convergence, and analyse samples.

Specifically, the code implements Hamiltonians defined
on Euclidean and Riemannian manifolds (i.e. with
kinetic energies given by quadratic forms):

    - constMetric (Euclidean Metrics)
        - diagConstMetric  (Diagonal)
        - denseConstMetric (Dense)

    - dynamMetric (Riemannian Metrics)

        - denseFisherMetric (Dense Fisher-Rao)
        - softAbsMetric (Dense SoftAbs)

            - Approximations to the SoftAbs Metric
                - diagSoftAbsMetric (Diagonal)
                - outerSoftAbsMetric (Outer-Product)
                - diagOuterSoftAbsMetric (Diagonal Outer-Product)

Example implementations include a multivariate Gaussian
and Neal's "funnel" distribution.


Matrix operations are performed with the Eigen
template library: http://eigen.tuxfamily.org/

Random number generation is handled with the
randomlib library: http://randomlib.sourceforge.net/

Option plotting available with gnuplot:
http://www.gnuplot.info/

Copyright Michael Betancourt 2012
[email protected]

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